Speakers
Keynote Speakers
Robert Engle, Co-Director, The Volatility and Risk Institute and Professor Emeritus of Finance, NYU Stern School of Business
Robert Engle, Professor Emeritus of Finance at New York University Stern School of Business, was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of UCSD. Professor Engle is the Co-Director of the Volatility and Risk Institute at NYU Stern. In this role he has developed research tools to track risks in the global economy and make these publicly available on the V-LAB website. He is now actively investigating the risks from climate change and strategies for mitigation.
Kirstin Hubrich is Deputy Director General Financial Stability at the Deutsche Bundesbank since July 1, 2023. Prior to that appointment she was Head of International Economics at the Austrian Central Bank, and Member of the Monetary Policy Committee of the Eurosystem. Previously, Kirstin served at the Board of Governors of the Federal Reserve System from 2015 to 2022, where she was Chief of the Prices and Wages Section, and subsequently took over responsibilities for macro-financial and financial stability analyses in the Program Direction of the Research and Statistics Division. She also served as the Federal Reserve Board Representative in the G7 Working Group on Digitalization. Before moving to the Federal Reserve Board, Kirstin held various positions at the European Central Bank (2001-2015), including in the Financial Research Division and the Monetary Policy Strategy Division. Kirstin received her Ph.D. from Humboldt University Berlin, Germany. She has published in leading academic journals and has been Visiting Professor at the Free University Berlin in 2022.
Anna Mikusheva is Edward A. Abdun-Nur (1924) Professor of Economics at MIT. Professor Mikusheva’s research aims to create new econometric procedures that work in a robust way when standard asymptotic approaches fail. She is interested in settings and applications where weak identification is present. She has also written extensively about inference for persistent (unit root) data. Professor Mikusheva was a recipient of the 2012 Elaine Bennett Research Prize awarded by the American Economic Association. She has been a Fellow of the Econometric Society and an elected member of the American Academy of Arts and Sciences. Professor Mikusheva holds a PhD in Economics from Harvard University and a PhD in Probability from Moscow State University.
Andrew Patton is a Professor of Finance at UNSW Sydney and the Zelter Family Distinguished Professor of Economics and Professor of Finance at Duke University. His research interests lie in financial econometrics, with an emphasis on forecasting volatility and dependence, forecast evaluation methods, and empirical asset pricing. His research has appeared in a variety of academic journals, including Econometrica, Journal of the American Statistical Association, Journal of Econometrics, and Journal of Finance, Review of Financial Studies and Journal of Financial Economics. He is currently serving as the President of the Society for Financial Econometrics, and he has served on the editorial boards of many leading journals in econometrics and finance, as well as on the Federal Reserve Board’s Model Validation Council. Patton has previously taught at the London School of Economics, the University of Oxford, and New York University. He completed his undergraduate studies in finance and statistics at the University of Technology, Sydney, and his PhD in economics at the University of California, San Diego.
Anders Rahbek is professor at the University of Copenhagen. He holds an MSc in Mathematics from the University of Pennsylvania, an MSc in Econometrics from the London School of Economics, and a PhD in Mathematical Statistics from the University of Copenhagen. His research primarily focuses on econometric theory and methods, with publications in leading journals such as Econometrica, Journal of Econometrics, Econometric Theory, and the Journal of the American Statistical Association.
His research interests within primarily time series analysis and financial econometrics, with topics including bootstrap theory, GARCH modelling, co-integrated VAR models, climate risk modelling, duration and Hawkes models.
Over the years, Anders Rahbek has received two research prizes and several research grants.
Michael Wolf is a Professor of Econometrics and Applied Statistics at the University of Zurich, and holds a Ph.D. in Statistics from Stanford University. Before joining the University of Zurich's Department of Economics, he held positions at the University of California, Los Angeles (UCLA), Universidad Carlos III de Madrid, and Universitat Pompeu Fabra in Barcelona.
His research interests include resampling-based inference, multiple testing methods, the estimation of large-dimensional covariance matrices, and financial econometrics. His work has been published in leading journals such as The Annals of Statistics, Biometrika, Econometrica, Journal of the American Statistical Association, and The Review of Financial Studies.